yes you need to build a board around how you programed the chip ( or build a generic board and program around the board). For quick and dirty things you can use a bread board but you risk wires falling out, etc...

When you program the chip you tell it which pins are input and which are output, you also tell it which pins are being used for what. When creating each circuit you need to figure out the best configuration to use so that you can keep your existing circuit or modify as little as possible.

You can indeed use a normal breadboard to build a fairly simple PIC based robot. You can check out the ProtoBot Amoeba here. As was mentioned above such a robot might suffer wires falling out, but you get to learn hardware dubugging as an extra bonus. Actually, I think such a robot could be a good next step for someone comfortable wiring components on a breadboard, but not quite ready to tackle PCBs, mechanics other things associated with more complex 'bots.